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Re: st: How to test heterokedasticity for 120 periods


From   Xixi Lin <winnielxx@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to test heterokedasticity for 120 periods
Date   Wed, 20 Feb 2013 10:12:17 -0500

Thanks Nick

On Wed, Feb 20, 2013 at 5:02 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> Like Roberto, I don't know why you are doing this, but I do wonder
> what the strategy is here.
>
> Roberto sketches out code for what you ask, but what are you going to
> with all the test results?
>
> 1. With 120 tests, some fraction is going to show up as significant at
> conventional levels, even if the null is always right. This problem is
> widely discussed under various headings, one of which is multiplicity.
>
> 2. If  some tests come out significant and the rest not, what do you
> intend to do?
>
> 3. Even if cross-sectional regressions make sense, the pattern of
> results over time has to make sense too.
>
> 4. Heteroscedasticity could mean different things, most obviously
> outliers as well as more systematic inconstancy of variance. The test
> results are going to be silent on why it occurs.
>
> I'd -collapse- the data to period, mean of response and variance of
> response, look at that as time series and as a scatter plot. It might
> well be that such exploration exposes the need for some transformation
> or link function and that side-steps all that *scedasticity stuff.
> Most simply, it may even be that working on a logarithmic scale makes
> more sense. Of course, you could be in a field that regards looking at
> the data as strange or suspect.
>
> Nick
>
> On Wed, Feb 20, 2013 at 7:57 AM, Roberto Liebscher
> <roberto.liebscher@ku.de> wrote:
>
>> although I do not know exactly but why are you testing for
>> heteroskedasticity for each period separately (Is it appropriate in your
>> case to estimate your model for each period subsample separately?) you could
>> loop over the regressions using a command like this
>>
>> forval i = num1/num2 {
>> quietly reg depvar indepvar if period == `i'
>> quietly estat hettest
>> display "Period " "`i'"
>> display `r(p)'
>> }
>>
>> If you want to conduct an ANOVA for the period groups this link might be
>> helpful:
>> http://www.stata.com/capabilities/anova-ancova/
>
> Xixi Lin [edited]
>
>>> I am trying to test test heteroskedasticity for 120 periods. I randomly
>>> tested for 3 periods, using White tests, and the result shows it is
>>> homoskedasticity. But I want to make sure that all 120 periods show
>>> homoskedasticity. Does anyone knows how to write a loop to test it? As
>>> a result, I hope it tells me which period or if any periods are not
>>> homoskedastic.
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